Search Results - subject:"Multiplicative Error Models"

Dynamic Portfolio Construction and Portfolio Risk Measurement

Mazibas, Murat - 2011

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

Persistent link: https://www.econbiz.de/10009440952

Multiplicative Error Models

Brownlees, Christian T.; Cipollini, Fabrizio; Gallo, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2011

. In this paper, we examine a class of models, named Multiplicative Error Models, which are particularly suited to model …

Persistent link: https://www.econbiz.de/10009643126

A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distributions for the innovation term with time-varying mixing weights forced by past behavior of volatility. The mixture considers innovations as a source of time-varying volatility of volatility and is able ...

Luca, Giovanni De; Gallo, Giampiero - Dipartimento di Statistica, Informatica, Applicazioni … - 2010

Persistent link: https://www.econbiz.de/10008509948

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus; Jeleskovic, Vahidin - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...

Persistent link: https://www.econbiz.de/10010263738

Testing multiplicative error models using conditional moment tests

Hautsch, Nikolaus - 2008

multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not …

Persistent link: https://www.econbiz.de/10010263752

Testing Multiplicative Error Models Using Conditional Moment Tests

Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not … SFB 649 Discussion Paper 2008-067 Testing Multiplicative Error Models Using Conditional … multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not …

Persistent link: https://www.econbiz.de/10005652786

Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models

Hautsch, Nikolaus; Jeleskovic, Vahidin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

Multiplicative Error Models Nikolaus Hautsch* Vahidin Jeleskovic* * Humboldt-Universität zu Berlin, Germany This research …-Frequency Volatility and Liquidity Using Multiplicative Error Models∗ Nikolaus Hautsch† Vahidin Jeleskovic‡ June 26, 2008 Abstract … trading costs mainly depend on their own history. Keywords: Multiplicative error models, volatility, liquidity, high …

Persistent link: https://www.econbiz.de/10005677925

Implied Volatility with Time-Varying Regime Probabilities

Lanne, Markku; Ahoniemi, Katja - Volkswirtschaftliche Fakultät, … - 2008

This paper presents a mixture multiplicative error model with a time-varying probability between regimes. We model the implied volatility derived from call and put options on the USD/EUR exchange rate. The daily first difference of the USD/EUR exchange rate is used as a regime indicator, with...

Persistent link: https://www.econbiz.de/10008534253

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Hautsch, Nikolaus - 2007

We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...

Persistent link: https://www.econbiz.de/10010263700

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Hautsch, Nikolaus - 2007

Persistent link: https://www.econbiz.de/10010298374